I bet you thought I was talking about Europe's sovereign debt issue but no, I'm talking about the average trade size for equities trading across Europe having just received some fascinating data from the Federation of European Securities Exchanges (FESE).
The data shows a considerable change in the European equities markets over the past four years.
What the figures show is that the value per trade has been shrinking massively, thanks to high frequency trading and market volatility.
In 2008, the average daily trade on all European exchanges was for €19,000. Today, it’s just €7,900 per trade, and decreasing at a CAGR of 20%.
Even more interesting is the impact of the Multilateral Trading Facilities (MTFs), with BATS Chi-X trashing the market rising from an average daily turnover of €2.6 billion per day in 2008 to €7.9 billion today (it was €9.5 billion daily last year).
Turquoise has also seen an increase, from €200 million a day in 2008 to €1.6 billion a day today (€1.9 billion last year).
Who’s the loser?
LSE Group, NASDAQ and SIX Swiss Exchange who have seen their daily turnover halve from a combined €28.2 billion per day in 2008 to just €15.2 billion today.
If you’re into this stuff, here’s the spreadsheet Download FESE numbers (thanks to Diana Chan at EuroCCP for sending over).
If you cannot download, double-click and zoom on the image below:
Equally, if you’re into this stuff, you may want to come to the next Clearing & Settlement Working Group plenary meeting on 11th December at the offices of Kemp Little, 138 Cheapside (near St Paul’s).
The agenda is currently being firmed up, but will include:
- The Risk, Regulation, Infrastructures and Technology Subject Groups updating on progress to date;
- A special keynote from Mark Davies Vice President, Data Business Development, DTCC, who will cover the LEI story to date, DTCC's CICI utility, FSB progress and the next steps on global LEI programme;
- Details of the CAS-WG’s special and new partnership with the A-Team;
and a few other surprises.
Attendance is free so come along (just register here).
Interesting data... what do we think it tells us?
Certainly, the trend since 2008 is for HF trades to move away from the mainstream exchanges. But since 2011, volume has been, if anything, gradually moving back the other way. Why? Any ideas?
At first glance, the story since 2008 for the mainline exchanges looks pretty grim - but then, they don't actually charge ad valorem for their services... their business model is more sensitive to the number of sides; actually, right now - a rather better and more sustainable model than the one I am sure they'd have preferred pre-2008. I'd like to see venue cost-per-execution plotted against these numbers, as a yardstick of how much value this competitive environment is delivering to us.
It's too early to say this heralds a renaissance for big, safe, known-quantity infrastructures with solid (if occasionally unexciting) and transparent business models - but I'm watching this space. Hopefully.
Posted by: Andrew Muir | November 22, 2012 at 10:45 AM